dc.contributor.author | Esteban González, María Victoria | |
dc.contributor.author | Tusell Palmer, Fernando Jorge | |
dc.date.accessioned | 2011-12-21T19:37:49Z | |
dc.date.available | 2011-12-21T19:37:49Z | |
dc.date.issued | 2009 | |
dc.identifier.issn | 1134-8984 | |
dc.identifier.uri | http://hdl.handle.net/10810/5581 | |
dc.description.abstract | Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct generalization of the method in Blume (1975), and the second is based on Procrustes rotation in phase space. We compare their performance with various competitors and draw some conclusions. | es |
dc.description.sponsorship | This research was partially supported by grant IT-321-07 from the Gobierno Vasco and ECO 2008-00777/ECON from Ministerio de Ciencia e Innovación. | es |
dc.language.iso | eng | es |
dc.relation | info:eu-repo/grantAgreement/MICINN/ECO2008-00777-ECON | |
dc.relation.ispartofseries | Biltoki 2009.01 | |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | * |
dc.subject | risk prediction | es |
dc.subject | systematic risk | es |
dc.subject | beta coefficients | es |
dc.subject | Procustes rotation | es |
dc.title | Predicting Betas: Two new methods | es |
dc.type | info:eu-repo/semantics/workingPaper | es |
dc.rights.holder | Attribution-NonCommercial-ShareAlike 3.0 Unported | * |
dc.subject.jel | G11 | |
dc.subject.jel | G12 | |
dc.subject.jel | G17 | |
dc.identifier.repec | RePEc:ehu:biltok:200901 | es |
dc.departamentoes | Economía aplicada III (Econometría y Estadística) | es_ES |
dc.departamentoeu | Ekonomia aplikatua III (ekonometria eta estatistika) | es_ES |
dc.subject.categoria | FINANCIAL ECONOMICS | |